Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 7 9 11
Score -2.81 -1.53 0.04
Market Cap (Millions USD) 5156.16 5124.03 5225.07
Predicted Beta 2.38 2.42 2.42
Idiosyncratic Volatility 4.52 4.98 5.15

Annualized return and volatility

IJT
Annualized Return 0.0928
Annualized Std Dev 0.2169
Annualized Sharpe (Rf=0%) 0.4278

Row

Daily Return Statistics

IJT
Observations 4966.0000
NAs 148.0000
Minimum -0.1035
Quartile 1 -0.0064
Median 0.0006
Arithmetic Mean 0.0004
Geometric Mean 0.0004
Quartile 3 0.0079
Maximum 0.0891
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0137
Skewness -0.1465
Kurtosis 4.1429

Downside Risk

IJT
Semi Deviation 0.0098
Gain Deviation 0.0093
Loss Deviation 0.0099
Downside Deviation (MAR=210%) 0.0145
Downside Deviation (Rf=0%) 0.0096
Downside Deviation (0%) 0.0096
Maximum Drawdown 0.5761
Historical VaR (95%) -0.0212
Historical ES (95%) -0.0313
Modified VaR (95%) -0.0214
Modified ES (95%) -0.0350
From Trough To Depth Length To Trough Recovery
2007-10-11 2009-03-09 2010-12-21 -0.5761 820 363 457
2000-09-05 2002-10-09 2003-11-28 -0.3631 828 534 294
2018-09-04 2018-12-24 NA -0.2721 336 79 NA
2011-07-08 2011-10-03 2012-03-26 -0.2645 183 62 121
2015-06-24 2016-02-11 2016-07-12 -0.1969 269 164 105

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IJT
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA 0.0 0.7 0.0 -0.9 3.7 0.0 3.5
2001 -0.4 -0.2 0.0 0.7 0.2 0.0 0.3 0.0 -1.9 0.8 0.0 0.0 -0.5
2002 -0.7 2.2 -0.6 0.3 0.0 -3.3 -1.5 0.0 1.8 1.7 0.0 0.0 -0.1
2003 0.0 0.0 0.8 -0.6 0.0 0.5 -1.3 0.0 1.7 0.0 1.3 0.0 2.5
2004 0.0 2.0 0.3 0.0 1.0 -1.2 0.0 1.0 2.0 0.6 1.3 0.0 7.2
2005 0.6 0.6 -0.1 0.0 1.3 0.7 0.3 0.4 0.0 0.3 1.6 0.0 5.8
2006 0.8 1.4 0.0 -0.6 1.8 0.0 -1.2 0.4 0.0 -1.2 -0.4 0.0 0.9
2007 1.3 -0.4 0.0 0.4 0.7 0.0 0.9 0.0 2.2 -3.9 0.0 0.0 1.2
2008 2.5 0.0 2.3 1.0 0.0 -0.5 0.4 0.0 -2.0 0.0 -10.3 0.0 -7.1
2009 0.0 0.0 2.0 0.5 4.3 1.9 0.0 -1.6 -2.5 0.0 1.2 0.0 5.7
2010 1.1 2.3 0.9 0.0 -2.6 -0.7 0.0 3.4 0.5 -0.5 2.1 0.0 6.6
2011 1.8 -1.8 0.3 0.0 -3.0 1.6 -0.9 -1.7 0.0 -3.0 -0.6 0.0 -7.1
2012 1.8 0.7 0.0 0.4 -2.8 0.0 -1.6 0.0 0.2 1.1 0.0 0.0 -0.3
2013 1.2 0.4 -1.3 -2.0 0.0 1.8 1.4 0.0 1.3 -0.5 0.0 0.0 2.2
2014 0.0 0.0 1.3 -0.3 0.0 1.2 -0.5 0.0 -1.5 0.0 -1.5 0.0 -1.3
2015 0.0 0.0 -0.2 0.7 0.5 0.6 0.0 -2.8 -0.3 0.0 0.8 0.0 -0.8
2016 -0.2 2.1 0.4 0.0 0.7 0.1 0.2 0.2 0.0 -1.4 -0.5 0.0 1.5
2017 -0.2 1.8 0.0 0.7 1.7 0.0 0.2 0.6 0.0 -0.6 -0.6 0.0 3.6
2018 0.6 -0.6 0.0 0.8 0.8 0.0 0.3 0.0 -1.4 2.4 0.0 0.0 2.8
2019 -0.2 0.6 0.9 -0.6 0.0 0.2 -1.1 0.0 -1.9 1.2 0.0 0.1 -0.9

Row

Rolling Performance Chart

Snail Trail Chart